Finance

NSSC Move Probability $37.15 +0.75 (+2.1%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Touch Probability (First Passage)
48.6%
Stock touched +5.0% ($39.01) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
25.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.4%
$33.29 — $41.01

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-32.6% to -28.3%: 7 occurrences (1.4%) -30.4% -28.3% to -23.9%: 4 occurrences (0.8%) -23.9% to -19.6%: 8 occurrences (1.6%) -19.6% to -15.3%: 8 occurrences (1.6%) -17.5% -15.3% to -11.0%: 16 occurrences (3.1%) -11.0% to -6.7%: 62 occurrences (12.2%) -6.7% to -2.4%: 88 occurrences (17.3%) -4.6% -2.4% to +1.9%: 110 occurrences (21.7%) +1.9% to +6.2%: 89 occurrences (17.5%) +6.2% to +10.5%: 46 occurrences (9.1%) 8.3% +10.5% to +14.8%: 37 occurrences (7.3%) +14.8% to +19.1%: 6 occurrences (1.2%) +19.1% to +23.4%: 10 occurrences (2.0%) 21.3% +23.4% to +27.7%: 7 occurrences (1.4%) +27.7% to +32.0%: 7 occurrences (1.4%) +32.0% to +36.3%: 3 occurrences (0.6%) 34.2%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 48.6% 25.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.8% Adjusts normal bell curve for real-world skewness (-2.99) and kurtosis (33.2).
Standard Normal (Black-Scholes / GBM) 63.9% 31.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.9% 17.3% Filters for historical windows that started with volatility similar to current 20-day HV (283 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 44.1%
  • Recent 20-Day HV: 27.8%
  • Parkinson Intraday Volatility: 33.0%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +12.8%
  • Bottom 10% Move (10th percentile): -9.7%
  • Max Historical Gain (14d): +36.3%
  • Max Historical Loss (14d): -32.6%